Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 1 | 1 |
| Score | -4.55 | -5.46 | -8.13 |
| Market Cap (Millions USD) | 2042.07 | 1992.14 | 2113.82 |
| Predicted Beta | 0.2 | 0.21 | 0.22 |
| Idiosyncratic Volatility | 1.19 | 1.41 | 2.01 |
Annualized return and volatility
| EWG | |
|---|---|
| Annualized Return | 0.0303 |
| Annualized Std Dev | 0.2576 |
| Annualized Sharpe (Rf=0%) | 0.1176 |
Row
Daily Return Statistics
| EWG | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1129 |
| Quartile 1 | -0.0072 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1979 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | 0.1770 |
| Kurtosis | 9.6358 |
Downside Risk
| EWG | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6757 |
| Historical VaR (95%) | -0.0249 |
| Historical ES (95%) | -0.0385 |
| Modified VaR (95%) | -0.0225 |
| Modified ES (95%) | -0.0232 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-02-24 | 2003-03-12 | 2006-05-05 | -0.6757 | 1585 | 779 | 806 |
| 2007-12-11 | 2009-03-09 | 2013-12-20 | -0.6310 | 1544 | 320 | 1224 |
| 2018-01-24 | 2018-12-24 | NA | -0.2981 | 493 | 236 | NA |
| 2014-06-09 | 2016-02-11 | 2017-05-04 | -0.2662 | 745 | 432 | 313 |
| 2006-05-11 | 2006-06-13 | 2006-10-26 | -0.1758 | 120 | 23 | 97 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.2 | 0.9 | 0.0 | 1.3 | 1.0 | 0.0 | -2.1 | 2.4 | 0.0 | 0.6 | 2.4 | 0.0 | 8.0 |
| 2001 | -1.2 | 0.3 | 0.0 | 0.8 | -0.5 | 0.0 | 0.9 | 0.0 | 0.3 | 2.6 | 0.0 | 0.0 | 3.2 |
| 2002 | -0.1 | 0.7 | 0.4 | 0.3 | 0.0 | -1.7 | -3.9 | 0.0 | 4.8 | 1.6 | 0.0 | 0.0 | 2.1 |
| 2003 | 0.0 | 0.0 | 1.3 | -0.5 | 0.0 | -0.4 | -1.6 | 0.0 | 3.8 | 0.0 | 2.0 | 0.0 | 4.5 |
| 2004 | 0.0 | 1.4 | 1.6 | 0.0 | -1.0 | -0.9 | 0.0 | 0.7 | 2.0 | 0.7 | 2.4 | 0.0 | 7.0 |
| 2005 | 1.4 | 0.2 | -0.6 | 0.0 | 0.2 | -0.5 | 1.5 | 0.5 | 0.0 | -0.2 | 1.4 | 0.0 | 4.0 |
| 2006 | 0.7 | 1.4 | 0.0 | -0.2 | 0.8 | 0.0 | -1.0 | 0.4 | 0.0 | -0.1 | -0.4 | 0.0 | 1.5 |
| 2007 | 0.8 | -1.7 | 0.0 | 0.6 | 0.8 | 0.0 | 0.5 | 0.0 | 1.4 | -3.0 | 0.0 | 0.0 | -0.7 |
| 2008 | 0.8 | 0.0 | 2.5 | 1.4 | 0.0 | -0.6 | -1.5 | 0.0 | -1.4 | 0.0 | -8.1 | 0.0 | -7.1 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.8 | 3.2 | 2.1 | 0.0 | -3.5 | -3.5 | 0.0 | 2.1 | 0.0 | 2.4 |
| 2010 | 1.8 | 1.3 | 1.6 | 0.0 | -0.8 | 1.7 | 0.0 | 4.0 | 1.0 | -0.5 | 3.9 | 0.0 | 14.7 |
| 2011 | 2.1 | -1.7 | 1.7 | 0.0 | -2.8 | 0.9 | -2.9 | -2.5 | 0.0 | -5.3 | -0.9 | 0.0 | -11.1 |
| 2012 | 2.4 | 1.2 | 0.0 | 0.5 | -3.4 | 0.0 | -0.6 | 0.0 | 0.7 | 0.8 | 0.0 | 0.0 | 1.5 |
| 2013 | 1.5 | -0.7 | -0.5 | -0.9 | 0.0 | 0.6 | 1.4 | 0.0 | 1.2 | -0.5 | 0.0 | 0.0 | 2.1 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.1 | 0.0 | 0.5 | -1.6 | 0.0 | -1.2 | 0.0 | 0.1 | 0.0 | -1.4 |
| 2015 | 0.0 | 0.0 | 0.9 | 1.3 | -0.3 | 0.9 | 0.0 | -2.4 | -0.8 | 0.0 | 0.1 | 0.0 | -0.5 |
| 2016 | -0.1 | 3.8 | -0.8 | 0.0 | 0.1 | 0.3 | -0.4 | 0.3 | 0.0 | -0.8 | -0.6 | 0.0 | 1.8 |
| 2017 | 0.3 | 1.4 | 0.0 | 0.6 | 0.4 | 0.0 | 0.9 | 0.3 | 0.0 | 0.8 | -0.9 | 0.0 | 4.1 |
| 2018 | -0.9 | -1.9 | 0.0 | -0.4 | 0.5 | 0.0 | -0.8 | 0.0 | 0.5 | 1.3 | 0.0 | 0.0 | -1.6 |
| 2019 | 0.1 | 1.1 | 1.4 | -0.7 | 0.0 | 0.2 | -0.1 | 0.0 | -1.0 | 0.8 | 0.0 | -0.1 | 1.9 |
Row
Rolling Performance Chart
Snail Trail Chart
